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Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions
In vector autoregressive analysis confidence intervals for individual impulse responses are typically reported to indicate the sampling uncertainty in the estimation results. A range of methods are reviewed and a new proposal is made for constructing joint confidence bands, given a prespecified c...
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| Publicado no: | MAGKS - Joint Discussion Paper Series in Economics (Band 25-2013) |
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| Principais autores: | , , |
| Formato: | Artigo |
| Idioma: | inglês |
| Publicado em: |
Philipps-Universität Marburg
2013
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| Assuntos: | |
| Acesso em linha: | Texto Completo em Formato PDF |
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| Resumo: | In vector autoregressive analysis confidence intervals for individual
impulse responses are typically reported to indicate the sampling uncertainty
in the estimation results. A range of methods are reviewed and a
new proposal is made for constructing joint confidence bands, given a prespecified coverage level, for the impulse responses at all horizons considered simultaneously. The methods are compared in a simulation experiment and recommendations for empirical work are provided. |
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| ISSN: | 1867-3678 |
| DOI: | 10.17192/es2024.0188 |